I wipe everything on most nightly installs. Sometimes if I'm crunched for time I'll cross my fingers and only wipe cache and Dalvik.
The way I see it is that I'm guaranteed to not create worthless problems from older ROMs by doing this, and it only takes ~30 minutes with TiBu to get everything back up and running. The process is usually like this:
1. TiBu backup all user apps that aren't from Google (I've learned that you should NOT try to use TiBu with GApps)
2. Sign out of Chrome to Phone
3. Nandroid
4. Wipe
5. Flash ROM
6. Flash Kernel
7. Flash GApps
8. Wipe battery stats, pull battery, and put in 100% charged battery from my external charger.
9. Skip GApps account creation, disable restore in Settings -> Privacy, and then create my GMail accounts (I have 2)
10. Reboot a couple times.
11. Download from the Market all of my missing Google apps (Chome to Phone, Music, etc.)
12. TiBu restore of apps/data for my backed-up user apps
13. Fix ringtones (often times the ringtone setting gets messed up when restoring app/data from TiBu across a nightly)
14. Go through and update all of my Android and ROM settings to be customized to how I want them.
15. Reboot one last time and my phone should be setup how I'd like it.
16. Don't plug into a power source until after battery dies.
* I skip the battery calibration steps if I'm flashing the nightlies on a nightly basis. However, I tend to flash them ever ~3 days or so (as time permits) so often the battery calibration is useful. While this sounds like a LOT of work, the "additional steps" only add ~30 minutes to the process. If I skip steps 11-15, I don't save much time but I usually notice some kind of lingering problem that I invented out of laziness or being rushed.
My $0.02 worth...